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Title:Risk premia and financial modelling without measure transformation PDF Logo
Authors:Platen, Eckhard
Issue Date:2000
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,92
Abstract:This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset prices appear as martingales. A specific form for the risk premia is obtained as a natural consequence of the approach. Contingent claim prices are computed under the real world measure both in the case of complete and incomplete markets avoiding the use of an equivalent risk neutral measure transformation.
Subjects:financial market modelling
risk premium
contingent claim pricing
incomplete market
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10048184
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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